Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0177 |
| Annualized Std Dev | 0.3721 |
| Annualized Sharpe (Rf=0%) | 0.0476 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3743.0000 |
| NAs | 1.0000 |
| Minimum | -0.2019 |
| Quartile 1 | -0.0108 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0113 |
| Maximum | 0.1665 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0005 |
| Stdev | 0.0234 |
| Skewness | 0.1306 |
| Kurtosis | 6.6357 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0164 |
| Gain Deviation | 0.0176 |
| Loss Deviation | 0.0169 |
| Downside Deviation (MAR=210%) | 0.0208 |
| Downside Deviation (Rf=0%) | 0.0162 |
| Downside Deviation (0%) | 0.0162 |
| Maximum Drawdown | 0.8707 |
| Historical VaR (95%) | -0.0353 |
| Historical ES (95%) | -0.0542 |
| Modified VaR (95%) | -0.0342 |
| Modified ES (95%) | -0.0473 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-05-08 | 2009-03-06 | 2020-02-20 | -0.8707 | 3471 | 713 | 2758 |
| 2020-02-21 | 2020-03-23 | 2020-07-27 | -0.5210 | 109 | 22 | 87 |
| 2020-10-16 | 2020-11-09 | 2021-01-20 | -0.1334 | 65 | 17 | 48 |
| 2021-02-09 | 2021-03-04 | 2021-03-15 | -0.0958 | 24 | 17 | 7 |
| 2020-08-25 | 2020-09-08 | 2020-10-01 | -0.0733 | 27 | 10 | 17 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | 1.5 | -1 | -0.1 | 0.1 | -2.3 | -1.5 | 0.5 | -0.1 | -2.9 |
| 2007 | 0.9 | 0.4 | -1 | 1 | -1.5 | -1.4 | -1.8 | 2.5 | 4.4 | -4.7 | 5.3 | 2.2 | 6.2 |
| 2008 | 3.1 | -6.5 | 4.5 | 3.7 | -1.2 | -0.3 | -0.8 | 0.8 | 1.1 | 9.1 | -13 | 2.2 | 0.7 |
| 2009 | -4.1 | -3.5 | 2.6 | -2.6 | 3 | 0.2 | 1.6 | -3.5 | -4.4 | -3.1 | 1.7 | -0.7 | -12.4 |
| 2010 | 0.2 | 1.5 | -0.1 | -1.2 | -3.6 | -0.8 | 0.5 | 3.6 | -0.3 | -0.3 | 3.8 | -0.5 | 2.6 |
| 2011 | 1.3 | -2.9 | 0.5 | 0.4 | -3 | 2.2 | -0.8 | -2.4 | -3.8 | -3.5 | 0.3 | -0.8 | -11.8 |
| 2012 | 2.8 | -0.4 | -1.5 | 1.2 | -6.2 | 4.2 | -1.1 | 1.4 | -0.4 | 2.7 | -0.4 | 2.7 | 4.7 |
| 2013 | -1.3 | 0.5 | -1.6 | -1.5 | -1.5 | 0.4 | 0 | -1.9 | 0.6 | -0.9 | -0.6 | 0.6 | -7.1 |
| 2014 | 1.8 | -0.6 | 1.6 | 0.9 | -0.6 | 1.2 | -0.3 | 0.4 | -1 | 0.1 | -1.4 | 0.8 | 2.9 |
| 2015 | -2 | 0.1 | -0.4 | 1.5 | 0.6 | 0.7 | 0.7 | -2.6 | 1.3 | 0.9 | 1.4 | -0.9 | 1.4 |
| 2016 | -0.9 | 2.7 | 0 | -0.7 | 0.4 | 0.8 | 0.2 | -0.5 | 0.5 | -1.2 | -1.3 | -0.9 | -0.8 |
| 2017 | -0.1 | 2.6 | 0 | -0.1 | 1.4 | 1.6 | 1.6 | 0.3 | 1 | 0.6 | 0.7 | -0.5 | 9.5 |
| 2018 | -0.3 | 0.3 | 1.3 | 1.3 | 0.4 | 0.9 | -0.6 | 0 | -0.4 | 3.1 | -0.3 | 0.2 | 6 |
| 2019 | -0.4 | -0.3 | 0.5 | -0.1 | -1.8 | 0.5 | 0.4 | 0.1 | -1 | 1.9 | -0.6 | 0.2 | -0.5 |
| 2020 | -2.3 | -2.9 | -8.1 | -1.9 | 0.2 | -2.4 | -0.5 | 3 | 2 | -1.4 | -1.4 | -1.4 | -16.2 |
| 2021 | 1.7 | 1.6 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
